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I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday?

For example, I want to get EFFR(Effective Federal Funds Rate), I can get here: https://fred.stlouisfed.org/series/EFFR

Some one give a light of how to solve my problem. I am trying to solve price for FX Option, what I did, I just have to adjust the OIS rate for differal time and I done my job.

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  • $\begingroup$ Pretty sure market provide it for free via an api - you get a zipped xml if I recall correctly. $\endgroup$ – will Apr 3 '17 at 19:58
  • $\begingroup$ I am looking for it, but I am really inexperient about the data. I didn't find yet; $\endgroup$ – Filipe Cotrim Melo Apr 3 '17 at 21:09
  • $\begingroup$ Really would like a help here or a direction. :) $\endgroup$ – Filipe Cotrim Melo Apr 6 '17 at 18:28
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So you can get depo and swap rates from markit daily, at links like this:

http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip

i.e.

http://www.markit.com/news/InterestRates_USD_20170105.zip

and there's a spec for it here - though that's from 2009 so may be out of date, maybe you can find a more up to date one someone on their site, but i've noot been able to inside of a few minutes of googling.

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  • $\begingroup$ Unfortunately I can't up you because I don't have pontuation. I will look the site, but thank you man $\endgroup$ – Filipe Cotrim Melo Apr 7 '17 at 21:16
  • $\begingroup$ @FilipeCotrimMelo don't worry about it. $\endgroup$ – will Apr 7 '17 at 21:16
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Go to this site and download the application that contains OIS curves for all major currencies at https://finpricing.com/download.htmlOIS and Swap curves

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